| Close | |
|---|---|
| Annualized Return | -0.0138 |
| Annualized Std Dev | 0.2783 |
| Annualized Sharpe (Rf=0%) | -0.0495 |
| Close | |
|---|---|
| Observations | 4608.0000 |
| NAs | 1.0000 |
| Minimum | -0.2727 |
| Quartile 1 | -0.0037 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0044 |
| Maximum | 0.4356 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0175 |
| Skewness | 2.5464 |
| Kurtosis | 134.0136 |
| Close | |
|---|---|
| Semi Deviation | 0.0121 |
| Gain Deviation | 0.0160 |
| Loss Deviation | 0.0160 |
| Downside Deviation (MAR=210%) | 0.0159 |
| Downside Deviation (Rf=0%) | 0.0121 |
| Downside Deviation (0%) | 0.0121 |
| Maximum Drawdown | 0.7426 |
| Historical VaR (95%) | -0.0155 |
| Historical ES (95%) | -0.0376 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.6428 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-04-02 | 2009-03-09 | NA | -0.7426 | 4271 | 1241 | NA |
| 2003-06-18 | 2003-08-25 | 2004-01-13 | -0.0834 | 145 | 48 | 97 |
| 2003-02-20 | 2003-03-25 | 2003-05-29 | -0.0631 | 69 | 24 | 45 |
| 2004-01-14 | 2004-02-24 | 2004-03-09 | -0.0376 | 38 | 28 | 10 |
| 2003-01-15 | 2003-01-22 | 2003-02-19 | -0.0146 | 24 | 5 | 19 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0 | 0 |
| 2003 | 0.5 | 0.4 | 0.8 | 0.1 | -0.2 | 0.7 | -0.3 | 0.2 | 0.4 | 0 | 0.4 | 0.2 | 3.1 |
| 2004 | 0 | 0.2 | 0 | 0.2 | -0.3 | 0.9 | 0.5 | -0.5 | -0.2 | 0.4 | -0.1 | 0.4 | 1.4 |
| 2005 | -0.3 | 1.6 | 0 | -0.4 | 0.4 | 0.5 | 0.6 | -0.3 | 0.2 | 0 | 0.7 | 1.2 | 4.2 |
| 2006 | 0.2 | 0.3 | -0.6 | 0.2 | 0.5 | 0.3 | 0.5 | 0.5 | -0.3 | 0.2 | -0.4 | 0.7 | 2 |
| 2007 | 0.1 | -0.1 | -0.3 | 0.4 | -0.4 | 0.2 | 1.5 | 0.9 | 0.4 | -0.8 | 3 | -0.6 | 4.3 |
| 2008 | 0.5 | -1.1 | 3.9 | 0.4 | -0.1 | -1.2 | 1.6 | 1.6 | 7.3 | 4.8 | -2.3 | -1 | 15.1 |
| 2009 | -1.4 | -3 | -2.1 | 2.7 | 1.7 | 1.1 | 1.7 | -1.4 | -1 | -1.3 | 1.4 | 0.4 | -1.4 |
| 2010 | 2 | 1 | 1 | -0.1 | 0.7 | 0.4 | 0.3 | 0.4 | 0 | 0.1 | 0.6 | 0.9 | 7.4 |
| 2011 | 0.7 | -0.5 | 0.1 | 0.2 | -0.3 | 1.2 | 2.5 | -1 | -3.7 | -1.4 | -0.7 | -0.1 | -3.1 |
| 2012 | -0.1 | 0.6 | 0.2 | -0.5 | -0.6 | 0.2 | 0.9 | -0.2 | 0 | 0.6 | -0.2 | 1.6 | 2.6 |
| 2013 | -0.4 | 0.1 | -0.8 | 0.1 | -3 | 0.3 | -1.6 | -0.3 | 0 | -0.8 | 0.3 | -0.3 | -6.3 |
| 2014 | 0.1 | -0.6 | 0.5 | 0.7 | 0.5 | -0.3 | -0.3 | 0.6 | -0.3 | 0.2 | -1.3 | -0.6 | -0.8 |
| 2015 | 0.4 | 0.3 | 0 | -0.4 | -0.1 | 0.1 | 0.2 | -0.1 | -0.8 | 0.1 | 0.2 | -0.1 | -0.3 |
| 2016 | 0.3 | -0.4 | -2 | 0.4 | 0.6 | -0.2 | 0.1 | 0.3 | 0.8 | -0.8 | -1.7 | 0.5 | -2.2 |
| 2017 | 0.2 | -0.5 | 0.7 | 0 | 0 | -0.1 | 0.1 | 0.5 | 0.5 | 0.3 | 0.2 | 0.3 | 2.2 |
| 2018 | -0.6 | 0 | 1.1 | 0.3 | 0.7 | 0.6 | 0 | 0.2 | -0.6 | 0.4 | 0 | 0.3 | 2.4 |
| 2019 | 0 | 0.1 | 0.9 | 0.5 | 0 | -0.7 | -0.1 | -0.6 | 0.4 | -0.5 | 0.1 | 0.2 | 0.5 |
| 2020 | 0 | -3.3 | -10.8 | -3.1 | 2.2 | -0.4 | 0.5 | 0 | 0.7 | -0.3 | 0.3 | 1.2 | -12.9 |
| 2021 | 0.9 | 1.4 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-11-26 25.0 SPY 91.7 -0.019 0.0148 0.0233 -0.0043 -0.206 -0.356 NA <NA> NA NA NA
2 2002-11-27 25 SPY 94.3 0.0281 0.0207 0.0645 0.0232 -0.168 -0.332 NA <NA> NA NA NA
3 2002-11-29 25 SPY 94.0 -0.0032 -0.00120 0.0509 0.024 -0.182 -0.338 NA <NA> NA NA NA
4 2002-12-02 25 SPY 94.1 0.0016 0.0076 0.0634 0.0663 -0.175 -0.334 NA <NA> NA NA NA
5 2002-12-03 25 SPY 92.9 -0.0134 -0.0065 0.0288 0.0372 -0.181 -0.341 NA <NA> NA NA NA
6 2002-12-04 25 SPY 92.4 -0.0045 0.0082 0.0145 0.0413 -0.198 -0.337 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>